You can also just edit the config.pro and search.pro directly; config.pro will likely be in your Pro/E startup directory (which can be easily found by selecting Set Working Directory; it starts the dialog box in this directory).
In config.pro, add a line like this:
search_path_file C:\[the path to the file]\search.pro
(Note that "search.pro" can be any text-format file, named whatever you like, on any drive.)
Then create a file at that location, named search.pro, and create entries like:
search_path C:\COMPON~1\BEARINGS
search_path C:\COMPON~1\BUSHINGS
search_path C:\COMPON~1\ELECTR~1
Where each entry corresponds to a directory where you'd like Pro/E to search for components. (You can choose any path, I've used DOS ASCII 8.3-style filenames, because I don't completely trust Pro/E 2001 to accurately handle long Windows Unicode filenames.)